Study: Buy GRASIM when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy GRASIM when RSI is oversold" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy GRASIM at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
1-2212.06803644455196.9726134.2-4302.34-21717.171.210.99-0.00082-27.65
228097.880433753.756188.2920559.56-6432.39-26707.830.961.120.0084351.22
3-12725580384247.56840.427599.91-9218.82-50074.40.740.67-0.028-1590.69
4-92276.2280423852.57984.8954934.86-11253.73-473430.710.78-0.017-1153.45
5-16411.3580384247.510142.3456701.26-9567.15-49352.821.060.96-0.0029-205.14
6-93208.2980394148.7510292.7950209.76-12064.08-51362.640.850.81-0.015-1165.1
7-20366.2680413951.2511279.5451624.71-12380.19-61732.340.910.96-0.0029-254.58
811835.980413951.2512020.2671762.01-12333.2-551540.971.020.0017147.95
919044.678040405013154.5993546.91-12678.47-54089.971.041.040.0024238.06
107255.338040405013918.43101144-13737.05-55480.141.011.010.0008790.69
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
atrnil25.38-22277.11434210129.3718474.5752425.12-7903.06-22871.362.340.97-0.0023-155.78
atrtrail-14.92-49162.331634511827.6115684.14122946-6397.87-22871.362.450.93-0.004-301.61
atrtrail34.34-1128061634511827.6114269.8463693.73-6397.87-22871.362.230.85-0.011-692.06
atrnil37.96-1451031402511517.8630186.9478637.68-7824.15-23137.883.860.84-0.013-1036.45
atrtrail23.79-1342661634711628.8313163.8742462.49-6491.1-22871.362.030.82-0.015-823.72

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 29.37%, which is not acceptable. Avoid this strategy. Average return per trade is -0.078%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GRASIM Performance, Profit Factor:0.972

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019628 Jan 2019 (-3.08%), 01 Feb 2019 (6.16%), 29 Jul 2019 (-3.49%), 30 Jul 2019 (-3.93%), 08 Aug 2019 (-4.08%), 13 Aug 2019 (8.76%)
2018707 Feb 2018 (7.7%), 13 Jul 2018 (5.3%), 05 Oct 2018 (-3.81%), 09 Oct 2018 (-4.0%), 11 Oct 2018 (-4.11%), 23 Oct 2018 (-4.04%), 25 Oct 2018 (8.62%)
2016527 Jan 2016 (-2.19%), 28 Jan 2016 (4.71%), 04 Nov 2016 (-2.73%), 15 Nov 2016 (-4.16%), 21 Nov 2016 (8.37%)
2014104 Feb 2014 (3.95%)
20131411 Jan 2013 (-1.95%), 26 Mar 2013 (-2.33%), 03 Apr 2013 (-2.1%), 04 Apr 2013 (4.36%), 01 Aug 2013 (-2.32%), 02 Aug 2013 (-2.58%), 05 Aug 2013 (-2.63%), 06 Aug 2013 (-2.93%), 07 Aug 2013 (-3.09%), 16 Aug 2013 (-3.38%), 27 Aug 2013 (-3.18%), 28 Aug 2013 (6.75%), 30 Aug 2013 (-3.78%), 03 Sep 2013 (8.17%)
2012114 May 2012 (-3.33%)
2011217 Jun 2011 (-2.52%), 20 Jun 2011 (5.97%)
2010404 May 2010 (-2.5%), 21 May 2010 (-3.27%), 25 May 2010 (-3.81%), 26 May 2010 (13.74%)
2009509 Oct 2009 (-3.82%), 21 Oct 2009 (-3.32%), 22 Oct 2009 (-3.45%), 23 Oct 2009 (-3.65%), 26 Oct 2009 (8.12%)
20082021 Jan 2008 (-4.99%), 22 Jan 2008 (12.44%), 24 Jan 2008 (-7.21%), 12 Feb 2008 (13.44%), 07 May 2008 (-4.51%), 13 May 2008 (-4.62%), 25 Jun 2008 (-4.11%), 27 Jun 2008 (-4.4%), 30 Jun 2008 (-4.75%), 01 Jul 2008 (-5.49%), 03 Jul 2008 (11.64%), 30 Sep 2008 (-5.5%), 06 Oct 2008 (-6.11%), 08 Oct 2008 (-6.34%), 10 Oct 2008 (-7.16%), 16 Oct 2008 (-7.74%), 17 Oct 2008 (-8.68%), 20 Oct 2008 (-9.41%), 24 Oct 2008 (-11.44%), 27 Oct 2008 (26.21%)
2007820 Feb 2007 (-3.14%), 22 Feb 2007 (-3.65%), 23 Feb 2007 (-4.28%), 28 Feb 2007 (-4.83%), 01 Mar 2007 (-5.18%), 05 Mar 2007 (-5.6%), 07 Mar 2007 (-6.01%), 14 Mar 2007 (13.42%)
2006322 May 2006 (-8.69%), 08 Jun 2006 (18.37%), 12 Dec 2006 (-3.17%)
2005922 Mar 2005 (-2.69%), 23 Mar 2005 (-2.88%), 28 Mar 2005 (-3.09%), 03 May 2005 (-3.14%), 07 Jun 2005 (4.02%), 14 Oct 2005 (-3.49%), 18 Oct 2005 (-3.75%), 20 Oct 2005 (-4.01%), 21 Oct 2005 (8.26%)
2002224 Oct 2002 (4.72%), 29 Nov 2002 (5.34%)
2001331 Aug 2001 (-4.16%), 05 Sep 2001 (-4.36%), 17 Sep 2001 (9.47%)
2000721 Feb 2000 (-7.74%), 22 Feb 2000 (16.85%), 08 May 2000 (23.14%), 24 Jul 2000 (12.95%), 19 Sep 2000 (-6.02%), 06 Oct 2000 (-5.88%), 09 Oct 2000 (14.3%)
1999226 Apr 1999 (14.79%), 08 Dec 1999 (12.88%)
1998905 Feb 1998 (-3.12%), 10 Feb 1998 (6.9%), 24 Jul 1998 (-5.49%), 27 Jul 1998 (-6.15%), 28 Jul 1998 (-6.53%), 04 Aug 1998 (-6.39%), 19 Aug 1998 (-4.83%), 24 Aug 1998 (-5.04%), 28 Aug 1998 (11.57%)
1997906 Feb 1997 (7.35%), 31 Mar 1997 (-2.99%), 01 Apr 1997 (6.42%), 17 Sep 1997 (-1.69%), 18 Sep 1997 (-1.85%), 22 Sep 1997 (-1.87%), 25 Sep 1997 (-2.01%), 01 Oct 1997 (3.97%), 28 Oct 1997 (-2.11%)
19961704 Jul 1996 (-2.43%), 08 Jul 1996 (-2.53%), 22 Jul 1996 (-2.36%), 23 Jul 1996 (-2.44%), 24 Jul 1996 (-2.83%), 02 Aug 1996 (-2.64%), 06 Aug 1996 (-2.59%), 13 Aug 1996 (-2.67%), 14 Aug 1996 (-2.84%), 19 Aug 1996 (5.57%), 16 Sep 1996 (-2.67%), 30 Sep 1996 (-2.44%), 01 Oct 1996 (-2.55%), 07 Oct 1996 (-2.95%), 08 Oct 1996 (-3.09%), 19 Nov 1996 (-2.76%), 20 Nov 1996 (6.01%)
1995903 Apr 1995 (5.91%), 28 Apr 1995 (-2.0%), 03 Jul 1995 (3.63%), 28 Sep 1995 (-1.06%), 29 Sep 1995 (2.16%), 13 Nov 1995 (-2.73%), 14 Nov 1995 (-2.91%), 20 Nov 1995 (-2.75%), 23 Nov 1995 (5.53%)



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